Survival of commodity trading advisors: 1990–2003 |
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| Authors: | Greg N. Gregoriou Georges Hübner Nicolas Papageorgiou Fabrice Rouah |
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| Affiliation: | 1. State University of New York, Plattsburgh, New York;2. University of Liège, Liège, Belgium;3. HEC Montreal;4. McGill University |
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| Abstract: | This article investigates the mortality of Commodity Trading Advisors (CTAs) over the 1990–2003 period, a longer horizon than any encompassed in the literature. A detailed survival analysis over the full range of CTA classifications is provided, and it is found that the median lifetime of CTAs in this sample is different than previously documented. Through the implementation of nonparametric, parametric, and semiparametric statistical techniques, it is emphasized that CTA survivorship is heavily contingent on the strategy followed by the fund. Furthermore, a significant positive size effect on survival is shown, whereas poor returns, and to a lesser extent, high‐risk exposure, appear to hasten mortality. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:795–815, 2005 |
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